@inbook{92152924e0eb45599f0990d49aed088d,
title = "Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time",
abstract = "Downside risk and drawdown risk measures are two important measures that qualify the risk characteristics of a portfolio. In this chapter, we consider three wellknown optimal dynamic strategies and examine in detail their risk characteristics in long-term investments and portfolio frontiers under various downside and drawdown risk measures. We determine which strategy among the three performs best in various parameter regions for a given downside or drawdown risk measure. An investigation on the correlation among different risk measures has also been carried out. {\textcopyright} 2009 Elsevier B.V. All rights reserved.",
author = "Dennis Yang and Minjie Yu and Qiang Zhang",
year = "2009",
doi = "10.1016/s1570-8659(08)00005-7",
language = "English",
isbn = "9780444518798",
series = "Handbook of Numerical Analysis",
publisher = "Elsevier B.V.",
pages = "189--226",
editor = "Alain Bensoussan and Qiang Zhang",
booktitle = "Special Volume: Mathematical Modeling and Numerical Methods in Finance",
}